New restricted biased estimator based on modified unbiased ridge regression estimator

Abstract

More researchers used biased estimators instead of the restricted least square estimator (RLS) that is unbiased to improve the efficiency of the estimator. Therefore, in this paper, we proposed new biased estimator, called restricted modified unbiased ridge regression (RMUR) based on modified unbiased ridge regression (MURR) that suggested by Batah and Gory (2009). By some theorems and a simulation study, we show that, this new estimator has desirable properties as the MUR and it is better than the RLS. A numerical example from literature is used to illustrate the results.